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yuvaltaylor
Re: New P123 sample aggregate series

It turns out I was incorrect in my explanation. It now occurs to me that UnivCapAvg("Close(0)>1","Close(0)/Close(1)") weights the stocks AFTER the daily price move, while what actually happens in real life is that the stocks are weighted BEFORE the daily price move.

Let's use my previous example again. Let's say there were two stocks in the universe, one with a market cap of $800 and the other with a market cap of $200, and the first went up to $900 and the second went down to $100. The index would not change. But if you take UnivCapAvg("1", "Close(0)/Close(1)"), you would be weighting them at their CURRENT weights, not their weights yesterday. So you would be looking at the sum of 0.9*12.5% + 0.1*-50% = 6.25%, while what has really happened is 0.8*12.5% + 0.2*-50% = 0%. This is why the series is NOT a good approximation of the S&P 500.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Oct 9, 2021 9:17:51 PM       
abwillingham
Re: New P123 sample aggregate series

Is there a tutorial or help section on using the Aggregate series functions? I could have sworn I saw one somewhere but cannot remember.

Update: Found it here under Step By Step Tutorials.
The link is called "Custom Series" instead of "Aggregate Series"

https://help.portfolio123.com/hc/en-us/articles/360016004732

Jan 17, 2022 12:37:14 AM       
Edit 1 times, last edit by abwillingham at Jan 17, 2022 12:40:56 AM
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